If you do nothing else today, listen to this audio clip of Thursday's crash live from the S&P 500 futures pit in Chicago. Pure, unadulterated adrenaline and chaos. Pure.
For those unfamiliar with the lingo, he's leaving off the first two digits, so when he's saying "91 even bid" he means 1091 in the SPX futures. He says "even" because they were just trading in whole numbers, not sub-dollar increments. Note that at the peak panic they were ten points wide: 1060-1070. This is for one of the most liquid increments in the world. Look back over the last several months and see how many days we had where the S&P500 didn't have a 10 point range for a whole day - and this was the bid-ask spread.
Also, note, that this is an old school, auction market.
(if the embedded audio above didn't work, click here)
EDIT: The voice is Ben Lichtenstein of Trader's Audio. Well done, Ben. One for the ages.